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Time-varying effects of oil supply and demand shocks on China's macro-economy

Xu Gong and Boqiang Lin ()

Energy, 2018, vol. 149, issue C, 424-437

Abstract: In this paper we determine oil supply shock, oil aggregate demand shock, and oil specific demand shock from global crude oil market using a SVAR model. We find that there are great differences in oil supply, oil aggregate demand, and oil specific demand shocks. Furthermore, we develop a TVP-SVAR-SV model based on monthly world crude oil production, global real economic activity index, real oil price, and China's real IAV (or CPI), and apply this model to analyze the time-varying effects of the above-named oil shocks on China's macro-economy. The empirical results show that the effects of oil supply, oil aggregate demand, and oil specific demand shocks on China's output and inflation are time-varying, and even change the direction of the effects over the period from 1995 to 2015.

Keywords: Time-varying effect; Oil supply shock; Oil demand shock; China'S macro-economy; TVP-SVAR-SV model (search for similar items in EconPapers)
Date: 2018
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